Zest the entire orange by running it over a microplane or fine side of a box grater to remove the outer orange layer. Don't dig into the white part (the pith), it's very bitter.
Add the zest to the cranberry sauce. Cut the ends off from the zested orange and lay one flat side down on the table. Working from top to bottom, slice the peel off the orange in segments, removing all the white parts and leaving behind the fruit. Quarter the fruit and finely chop up the segments. Stir the segments into the cranberry sauce and serve.